Internet users worldwide rely on commercial network proxies both to conceal their true location and identity, and to control their apparent location. Their reasons range from mundane to security-critical. Proxy operators offer no proof that their advertised server locations are accurate. IP-to-location databases tend to agree with the advertised locations, but there have been many reports of serious errors in such databases. In this study we estimate the locations of 2269 proxy servers from ping-time measurements to hosts in known locations, combined with AS and network information. These servers are operated by seven proxy services, and, according to the operators, spread over 222 countries and territories. Our measurements show that one-third of them are definitely not located in the advertised countries, and another third might not be. Instead, they are concentrated in countries where server hosting is cheap and reliable (e.g. Czech Republic, Germany, Netherlands, UK, USA). In the process, we address a number of technical challenges with applying active geolocation to proxy servers, which may not be directly pingable, and may restrict the types of packets that can be sent through them, e.g. forbidding traceroute. We also test three geolocation algorithms from previous literature, plus two variations of our own design, at the scale of the whole world.